Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0411 |
| Annualized Std Dev | 0.2145 |
| Annualized Sharpe (Rf=0%) | 0.1916 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3309.0000 |
| NAs | 1.0000 |
| Minimum | -0.1112 |
| Quartile 1 | -0.0059 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0069 |
| Maximum | 0.1538 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0135 |
| Skewness | 0.2065 |
| Kurtosis | 12.8308 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0097 |
| Gain Deviation | 0.0097 |
| Loss Deviation | 0.0103 |
| Downside Deviation (MAR=210%) | 0.0144 |
| Downside Deviation (Rf=0%) | 0.0096 |
| Downside Deviation (0%) | 0.0096 |
| Maximum Drawdown | 0.4368 |
| Historical VaR (95%) | -0.0207 |
| Historical ES (95%) | -0.0322 |
| Modified VaR (95%) | -0.0177 |
| Modified ES (95%) | -0.0177 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-19 | 2008-10-10 | 2013-04-19 | -0.4368 | 1228 | 102 | 1126 |
| 2018-01-29 | 2020-03-16 | NA | -0.4085 | 792 | 536 | NA |
| 2013-05-09 | 2013-06-06 | 2013-10-18 | -0.1545 | 114 | 20 | 94 |
| 2015-08-11 | 2016-02-11 | 2016-04-19 | -0.1467 | 174 | 128 | 46 |
| 2008-01-04 | 2008-01-22 | 2008-05-15 | -0.1350 | 84 | 6 | 78 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1.4 | -1.4 |
| 2008 | -0.3 | 0.8 | 1.4 | 0.6 | 1 | -0.7 | -1.3 | 0.9 | -0.3 | 1 | -4.5 | -1 | -2.5 |
| 2009 | -0.3 | 0.5 | 3.3 | -0.4 | 1.2 | 1.6 | 0.5 | -2.1 | -2 | -1 | 3 | -0.5 | 3.8 |
| 2010 | -0.2 | 0.8 | 1.3 | -0.9 | 0.4 | -0.2 | -0.8 | 1.9 | -0.2 | -0.7 | 1.3 | 0.7 | 3.4 |
| 2011 | 2.2 | -0.8 | -1.1 | 0.1 | -0.6 | 0.1 | -0.4 | -1.7 | -2.4 | -1.2 | -2.1 | 1.5 | -6.2 |
| 2012 | 1.3 | -0.1 | 0.6 | 0.2 | -2.9 | 2.1 | 0.3 | 0.1 | -0.2 | 1 | -0.9 | 0.7 | 2.1 |
| 2013 | 0.2 | 0.8 | -5.1 | -0.1 | -1.2 | 0.9 | 2.4 | -2.1 | -0.7 | -1.3 | 0.1 | -0.2 | -6.4 |
| 2014 | -2.2 | 0.7 | 0.8 | 1.6 | 0.1 | 1.2 | 0.9 | 0 | -1.2 | 4.1 | 0.6 | -0.7 | 5.9 |
| 2015 | -0.7 | 0 | -0.8 | 0.4 | 0.9 | 1.5 | 0.6 | -4.3 | 0 | -0.6 | 1.1 | -0.7 | -2.7 |
| 2016 | 0 | 2 | -2.2 | -0.5 | 0.3 | 0.3 | -0.6 | 0.6 | -0.2 | -0.2 | -1 | 0.3 | -1.1 |
| 2017 | 0.8 | 0.6 | -1 | 0.5 | 1 | 0.3 | 0.3 | 0 | 0.4 | 0.4 | -0.7 | 0.4 | 3 |
| 2018 | 0.9 | -2.6 | 1.9 | -0.3 | 0.6 | -0.1 | 0.6 | 0.3 | 0.6 | 0.8 | 0.5 | -0.3 | 2.9 |
| 2019 | -0.3 | 0.4 | 1.4 | -0.4 | -0.8 | 1.8 | -0.5 | 0.8 | -0.5 | 1 | -0.9 | 0.6 | 2.4 |
| 2020 | -1.6 | -1 | -4.8 | -0.9 | 1.2 | -0.8 | -2.8 | 0.1 | 0 | -1 | 2.3 | 0.4 | -8.8 |
| 2021 | 0.7 | 1.6 | 1.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-12-21 49.9 SPY 148. 0.0143 0.0118 0.051 -0.0184 0.0476 0.237 0.670 GLD 80.1 0.0182 0.0201
2 2007-12-24 49.8 SPY 149. 0.0074 0.0287 0.0354 -0.0143 0.0537 0.237 0.658 GLD 80.1 0.0005 0.0257
3 2007-12-27 50.8 SPY 148. -0.0126 0.0123 0.0358 -0.0354 0.043 0.225 0.653 GLD 81.6 0.0005 0.0293
4 2007-12-28 50.0 SPY 147. -0.0025 0.0034 0.00120 -0.0346 0.0336 0.216 0.648 GLD 83 0.0177 0.055
5 2008-01-02 51.1 SPY 145. -0.0088 -0.0288 -0.0251 -0.0594 0.0234 0.196 0.645 GLD 84.9 0.0291 0.0589
6 2008-01-04 49.9 SPY 141. -0.0245 -0.0431 -0.0345 -0.0825 -0.0025 0.175 0.552 GLD 85.1 -0.0051 0.0438
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
